forked from lballabio/QuantLib
/
ChangeLog.txt
2899 lines (2119 loc) · 104 KB
/
ChangeLog.txt
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commit 051afbcd73dd8b11165449b1f905e4c964e74aec
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.29 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 0305de0259df6902d268060ae251c0d951ca637b
Author: Luigi Ballabio <[email protected]>
Date: Fri, 13 Jan 2023 09:22:08 +0100
Avoid weird error on 32-bit VC++2015
test-suite/inflation.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit df7eeb4ecc450fd63ffe244e8a7a2ad6be8f4b18
Author: Luigi Ballabio <[email protected]>
Date: Wed, 11 Jan 2023 11:49:29 +0100
Avoid some deprecation warnings on VC++15
ql/math/functional.hpp | 32 +++++++++++++++++++++++++++++++-
1 file changed, 31 insertions(+), 1 deletion(-)
commit c95610040ef9337b99ce34320476dff9458a56bd
Author: Luigi Ballabio <[email protected]>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.29 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 5c4605be3d5e217092e58776fd09964a42737f3b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 9 Jan 2023 18:07:02 +0100
Update news and changelog
ChangeLog.txt | 3694 +++++++++++++++++++++++++++++++----------------
Contributors.txt | 2 +
Docs/pages/history.docs | 100 +-
News.md | 201 +--
4 files changed, 2643 insertions(+), 1354 deletions(-)
commit 87be46e7c5a59d25eb0bb691174caccf296252f3
Author: Luigi Ballabio <[email protected]>
Date: Mon, 9 Jan 2023 14:56:29 +0100
Cosmetic changes to a few test messages
test-suite/americanoption.cpp | 10 +++++-----
test-suite/fdheston.cpp | 6 +++---
2 files changed, 8 insertions(+), 8 deletions(-)
commit 75cbaf6d86b3e658e9fc6262f2da2cd9b871419c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 9 Jan 2023 09:33:57 +0000
Fixes by misspell-fixer
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 2 +-
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c7d81455809e1055643cd80e7a1e206bce5cae12
Author: Luigi Ballabio <[email protected]>
Date: Mon, 9 Jan 2023 09:51:18 +0100
Avoid a couple of clang-tidy warnings
ql/math/matrix.hpp | 2 +-
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 3261d7c5d056da571086c36c096dae30eb9be4b5
Author: Luigi Ballabio <[email protected]>
Date: Thu, 5 Jan 2023 16:08:11 +0100
Update qldefines.hpp.cfg
ql/qldefines.hpp.cfg | 15 ++++++++++++++-
1 file changed, 14 insertions(+), 1 deletion(-)
commit b1b89051548404b65ad2726c07bc9cf092b93fd4
Author: Luigi Ballabio <[email protected]>
Date: Thu, 5 Jan 2023 15:23:05 +0100
Don't configure version.hpp in cmake
CMakeLists.txt | 1 -
ql/CMakeLists.txt | 4 ++--
ql/Makefile.am | 3 +--
ql/version.hpp.cfg | 51 ---------------------------------------------------
4 files changed, 3 insertions(+), 56 deletions(-)
commit 86f51dd912ff80ef64f1f657d5c2117d3797948f
Merge: d0d00b372 65b59c403
Author: Luigi Ballabio <[email protected]>
Date: Thu, 5 Jan 2023 17:24:56 +0100
Enable usage of MSVC dynamic runtime in cmake build (#1553)
commit 65b59c403adf7d518b006d0d6d43830c1911c4dd
Author: Luigi Ballabio <[email protected]>
Date: Thu, 5 Jan 2023 09:32:57 +0100
Enable dynamic runtime on Windows with cmake
.github/workflows/cmake.yml | 37 ++++++++++++++++++++++++++++++++++++-
CMakeLists.txt | 9 +++++----
cmake/Platform.cmake | 6 ++++--
3 files changed, 45 insertions(+), 7 deletions(-)
commit d0d00b3721e1f0ce2070599354d1ba8f0cec251e
Merge: 13179807b 7ceb42941
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 22:25:43 +0100
Avoid null-pointer access (#1551)
commit 7ceb42941eef07a9cbf63fb1dc4ebd693607594e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 17:35:38 +0100
Avoid null-pointer access
ql/processes/merton76process.cpp | 2 +-
ql/processes/merton76process.hpp | 6 +++---
2 files changed, 4 insertions(+), 4 deletions(-)
commit 13179807b592d0aac855815f60673b0afe809c39
Merge: 83468a248 ad62af2cd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 17:15:00 +0100
Reorder header for European currencies. (#1549)
commit ad62af2cd9de2ec6ed6a030cada586d5a68a0003
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 14:28:44 +0100
Reorder header for European currencies.
The alphabetical order was restored, and the entrance of Croatia
into Eurozone in 2023 was documented.
ql/currencies/europe.hpp | 108 +++++++++++++++++++++++++----------------------
1 file changed, 57 insertions(+), 51 deletions(-)
commit 83468a24885a81563eb9cce916a2e79968636c7a
Merge: a372709ae f7773e8bd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 09:40:57 +0100
added china calendar for the year 2023 (#1547)
commit a372709ae082f73b445d1520b16a66159019b2f5
Merge: 8f3f010f2 48c3689d5
Author: Luigi Ballabio <[email protected]>
Date: Tue, 3 Jan 2023 09:40:27 +0100
Add required packages for icpx compiler (#1545)
commit f7773e8bd4b88bd0a1430301b6e1bb8e0db98444
Author: wegamekinglc <[email protected]>
Date: Sun, 1 Jan 2023 17:47:40 +0800
added china calendar for the year 2023
ql/time/calendars/china.cpp | 20 +++++++++++++++++---
test-suite/calendars.cpp | 35 ++++++++++++++++++++++++++++++++---
2 files changed, 49 insertions(+), 6 deletions(-)
commit 8f3f010f2d9144bc3d09f2e74ab32ecd8e299a3a
Merge: 5faade57e 91feb6e07
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Dec 2022 11:06:41 +0100
Avoid out parameters in `npvbps` signature (#1544)
commit 48c3689d51d81a8bfdaa7e1db9405afe10b1c13d
Author: Jonathan Sweemer <[email protected]>
Date: Fri, 30 Dec 2022 10:17:35 +0900
Add required packages for icpx compiler
CMakeLists.txt | 4 ++++
1 file changed, 4 insertions(+)
commit 91feb6e07c0063049edc930c44d6ff90083aef96
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Dec 2022 17:28:19 +0100
Avoid out parameters in npvbps signature
ql/cashflows/cashflows.cpp | 23 +++++++++--
ql/cashflows/cashflows.hpp | 12 +++++-
.../termstructures/crosscurrencyratehelpers.cpp | 44 +++++++++++-----------
ql/pricingengines/swap/discountingswapengine.cpp | 13 +++----
4 files changed, 58 insertions(+), 34 deletions(-)
commit 5faade57eb0b1f5e1d6f404f6291189b5e98d34a
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Dec 2022 13:17:23 +0100
Use both processors for CI header check
tools/check_all_headers.sh | 2 +-
tools/check_header.py | 22 +++++++++++++---------
2 files changed, 14 insertions(+), 10 deletions(-)
commit 94e93a15aa3cc25b33804b048a6661110514435a
Merge: bf3b9ee74 5b0fc0e23
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Dec 2022 14:26:41 +0100
Allow sharing engines between dividend and non-dividend options (#1543)
commit bf3b9ee74214f36b1b5000f3d9590deeee07cfb6
Merge: 58e5aadb9 bef111c99
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Dec 2022 13:19:24 +0100
Adds public holiday in lieu of Christmas 2022 to South Africa calendar (#1542)
commit 5b0fc0e23a66f99e970ceff3c6c37687fff96d28
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Dec 2022 10:42:51 +0100
Allow sharing engines between dividend and non-dividend options
ql/instruments/barrieroption.cpp | 9 ++++++
ql/instruments/vanillaoption.cpp | 12 ++++++++
ql/instruments/vanillaoption.hpp | 2 ++
test-suite/barrieroption.cpp | 50 +++++++++++++++++++++++++++----
test-suite/barrieroption.hpp | 1 +
test-suite/europeanoption.cpp | 65 ++++++++++++++++++++++++++++++----------
test-suite/europeanoption.hpp | 1 +
7 files changed, 118 insertions(+), 22 deletions(-)
commit bef111c99120fc44cde63dd8f6c9448da845c2ed
Author: Josh Hayes <[email protected]>
Date: Thu, 29 Dec 2022 10:33:28 +0200
Adds note to docstring about one-off holidays
ql/time/calendars/southafrica.hpp | 3 +++
1 file changed, 3 insertions(+)
commit e5184d92a016575f85d1269b2af863c37cf7c294
Author: Josh Hayes <[email protected]>
Date: Thu, 29 Dec 2022 10:32:30 +0200
Adds holiday in lieu of Christmas on Sunday
ql/time/calendars/southafrica.cpp | 2 ++
1 file changed, 2 insertions(+)
commit 58e5aadb99f8b31189ceb352e7ff85a10c24f899
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 26 Dec 2022 11:00:28 +0000
Bump actions/stale from 6 to 7
Bumps [actions/stale](https://github.com/actions/stale) from 6 to 7.
- [Release notes](https://github.com/actions/stale/releases)
- [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/stale/compare/v6...v7)
---
updated-dependencies:
- dependency-name: actions/stale
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <[email protected]>
.github/workflows/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit da7292ad9123ab327024d0caac3703bd6a0f23af
Author: Luigi Ballabio <[email protected]>
Date: Tue, 27 Dec 2022 09:45:06 +0100
Avoid brew errors during CI setup
.github/workflows/doxygen.yml | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit e4e16e7347a13272f130cc5d4bb2fd172a45771f
Author: Luigi Ballabio <[email protected]>
Date: Wed, 21 Dec 2022 10:37:09 +0100
Upgrade Boost in cmake CI build
.github/workflows/cmake.yml | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 4c879d243cdb53eb7f25c87fd48f4c5e42e65054
Merge: a2b25185b d52126369
Author: Luigi Ballabio <[email protected]>
Date: Thu, 15 Dec 2022 09:12:16 +0100
Bugfix for ZeroCouponInflationSwapHelper (#1539)
commit d52126369d490c1cf71a8fddecc0063f11315e27
Author: Matthias Groncki <[email protected]>
Date: Thu, 15 Dec 2022 10:09:03 +0700
Bugfix ZeroCouponInflationSwapHelper
Dont need to interpolate the maturity of the rate helper falls the on the first date of the inflation period
ql/termstructures/inflation/inflationhelpers.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit a2b25185b597ee0d9578dd8e61a88fe31a33c043
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 13 Dec 2022 15:28:56 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fcdd14c2a42d149fd7512c3665a1f27ba0924a5b
Merge: e5fa7ba6e 134d2b85e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Dec 2022 16:28:18 +0100
Add indexFixing method to indexed cashflows (#1499)
commit 134d2b85e1cfd05e392494f63c9283ecccd7d723
Author: Matthias Groncki <[email protected]>
Date: Tue, 13 Dec 2022 08:50:53 +0700
move baseFixing method to base class indexedcashflow
ql/cashflows/cpicoupon.cpp | 10 ----------
ql/cashflows/cpicoupon.hpp | 7 ++-----
ql/cashflows/indexedcashflow.cpp | 4 ++--
ql/cashflows/indexedcashflow.hpp | 1 +
4 files changed, 5 insertions(+), 17 deletions(-)
commit 59264ca1bdc52730175b6c4dbbc9251781326f2c
Author: Matthias Groncki <[email protected]>
Date: Thu, 8 Dec 2022 07:41:33 +0700
avoid code duplication
ql/cashflows/cpicoupon.cpp | 23 +----------------------
1 file changed, 1 insertion(+), 22 deletions(-)
commit e5fa7ba6e63b300eb16d54ff23b3ba893933582c
Merge: 5e5380e36 9b572ef39
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Dec 2022 22:36:24 +0100
Casts to Real to maintain AAD compatibility (#1536)
commit 5e5380e36fabbd40ddea97437901d44003105edb
Merge: 1b16c6c1e c3a8da34b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Dec 2022 22:35:52 +0100
Deprecate unneeded typedefs (#1418)
commit 9b572ef393b587089329c97b8a7f42851e600e94
Author: Xcelerit Dev Team <[email protected]>
Date: Wed, 7 Dec 2022 15:15:00 +0000
Casts to Real to maintain AAD compatibility
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c3a8da34b0d79ad50976e3c042c4191c89dc2cdd
Author: Jonathan Sweemer <[email protected]>
Date: Tue, 28 Jun 2022 21:13:38 +0900
Deprecate unneeded typedefs
ql/cashflow.hpp | 14 ++++++
ql/cashflows/conundrumpricer.hpp | 9 ++++
ql/experimental/math/convolvedstudentt.hpp | 18 ++++++++
ql/experimental/math/latentmodel.hpp | 5 ++
ql/math/abcdmathfunction.hpp | 9 ++++
ql/math/comparison.hpp | 14 ++++++
ql/math/copulas/alimikhailhaqcopula.hpp | 14 ++++++
ql/math/copulas/claytoncopula.hpp | 14 ++++++
ql/math/copulas/farliegumbelmorgensterncopula.hpp | 14 ++++++
ql/math/copulas/frankcopula.hpp | 14 ++++++
ql/math/copulas/galamboscopula.hpp | 14 ++++++
ql/math/copulas/gaussiancopula.hpp | 14 ++++++
ql/math/copulas/gumbelcopula.hpp | 14 ++++++
ql/math/copulas/huslerreisscopula.hpp | 14 ++++++
ql/math/copulas/independentcopula.hpp | 14 ++++++
ql/math/copulas/marshallolkincopula.hpp | 14 ++++++
ql/math/copulas/maxcopula.hpp | 14 ++++++
ql/math/copulas/mincopula.hpp | 14 ++++++
ql/math/copulas/plackettcopula.hpp | 14 ++++++
ql/math/distributions/binomialdistribution.hpp | 18 ++++++++
ql/math/distributions/chisquaredistribution.hpp | 36 +++++++++++++++
ql/math/distributions/gammadistribution.hpp | 18 ++++++++
ql/math/distributions/normaldistribution.hpp | 54 ++++++++++++++++++++++
ql/math/distributions/poissondistribution.hpp | 27 +++++++++++
ql/math/distributions/studenttdistribution.hpp | 27 +++++++++++
ql/math/errorfunction.hpp | 9 ++++
ql/math/interpolation.hpp | 10 ++++
ql/math/interpolations/interpolation2d.hpp | 14 ++++++
ql/math/linearleastsquaresregression.hpp | 9 ++++
ql/math/polynomialmathfunction.hpp | 9 ++++
.../randomnumbers/stochasticcollocationinvcdf.hpp | 9 ++++
.../operators/numericaldifferentiation.hpp | 9 ++++
ql/methods/montecarlo/pathpricer.hpp | 4 ++
ql/payoff.hpp | 9 ++++
ql/termstructures/volatility/abcd.hpp | 9 ++++
35 files changed, 522 insertions(+)
commit 1b16c6c1e00ad136610b1d2040864cae00957e8b
Merge: 035ab3e92 559371a6b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Dec 2022 23:03:06 +0100
Better error messages for interpolated curves (#1535)
commit 035ab3e929b6765771c2882397d04f45b2c39894
Merge: 4019bee67 eabb11aec
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Dec 2022 22:51:48 +0100
allow negative dividend yields for QD+ American engines (#1534)
commit 559371a6b43b7fa2c7546d4a9f61d18abc2edbc7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Dec 2022 16:14:53 +0100
Better error messages for interpolated curves
.../credit/interpolatedaffinehazardratecurve.hpp | 18 ++----------
.../credit/interpolateddefaultdensitycurve.hpp | 33 ++++++----------------
.../credit/interpolatedhazardratecurve.hpp | 17 ++---------
.../interpolatedsurvivalprobabilitycurve.hpp | 16 ++---------
.../inflation/interpolatedyoyinflationcurve.hpp | 18 ++----------
.../inflation/interpolatedzeroinflationcurve.hpp | 17 ++---------
ql/termstructures/interpolatedcurve.hpp | 21 ++++++++++++++
ql/termstructures/yield/discountcurve.hpp | 16 ++---------
ql/termstructures/yield/forwardcurve.hpp | 20 ++-----------
.../yield/interpolatedsimplezerocurve.hpp | 19 ++++---------
ql/termstructures/yield/zerocurve.hpp | 26 ++++-------------
11 files changed, 58 insertions(+), 163 deletions(-)
commit eabb11aec1a3483c2bd1e8a0a7ce1a009d65202e
Author: klausspanderen <[email protected]>
Date: Mon, 5 Dec 2022 00:21:51 +0100
allow negative dividend yields for QD+ and QD+ fixed point American
engines
ql/pricingengines/vanilla/qdfpamericanengine.cpp | 2 +-
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 50 ++++++++++-----
test-suite/americanoption.cpp | 74 ++++++++++++++++++++++
test-suite/americanoption.hpp | 2 +
4 files changed, 111 insertions(+), 17 deletions(-)
commit 4019bee67ac10b8fb242648fd62e0e2525a1d597
Author: Luigi Ballabio <[email protected]>
Date: Sun, 4 Dec 2022 13:35:39 +0100
Add configure switch to skip test suite.
Not advised in normal usage. Mostly for automated jobs building
wheels or other artifacts, after the code is already verified.
configure.ac | 12 +++++++++++-
test-suite/Makefile.am | 2 +-
2 files changed, 12 insertions(+), 2 deletions(-)
commit 7f69bb6fbe4ac76f0262b717cbf97c6dcd7b69d9
Merge: 61041b0f1 bb3c5eb9b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 23 Nov 2022 14:37:52 +0100
Use Real instead of double in amortizingbond test (#1531)
commit bb3c5eb9bb3dbdc3842ab0c84aff39e178736539
Author: Xcelerit Dev Team <[email protected]>
Date: Wed, 23 Nov 2022 09:48:43 +0000
Fix vector<double> -> vector<Real> in amortizingbond test
test-suite/amortizingbond.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 61041b0f191b8788b82443462eea62a46f56ff2d
Merge: 222bccec3 e6e5b9208
Author: Luigi Ballabio <[email protected]>
Date: Wed, 23 Nov 2022 10:05:32 +0100
Updated Readme (#1530)
commit e6e5b92081895b31e6261a48e4a865058af51704
Author: Nijaz Kovacevic <[email protected]>
Date: Tue, 22 Nov 2022 19:28:40 -0800
Updated Readme
Added Basket losses, CVAIRS, Gaussian1dModels, Latent Models, and Market Models in the example Readme file.
Examples/README.txt | 35 +++++++++++++++++++++++++++++++++++
1 file changed, 35 insertions(+)
commit 222bccec371dc24c29466d58b65b6569b4eb7684
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 22 Nov 2022 15:25:45 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 13cc9e99872223c930de446bdd6a38a08975e8b2
Merge: f271efd89 32cf78c60
Author: Luigi Ballabio <[email protected]>
Date: Tue, 22 Nov 2022 16:23:10 +0100
removed check for increasing notionals as there are bonds with draw down (#1437)
commit 32cf78c60c322cb0d55411d1bf0d8d5c78c13a19
Author: Luigi Ballabio <[email protected]>
Date: Tue, 22 Nov 2022 14:59:41 +0100
Convert example into test case
Examples/AmortizingBonds/AmortizingBond.cpp | 178 ----------------------------
Examples/AmortizingBonds/CMakeLists.txt | 2 -
Examples/AmortizingBonds/ReadMe.txt | 1 -
test-suite/amortizingbond.cpp | 63 ++++++++++
test-suite/amortizingbond.hpp | 4 +-
5 files changed, 65 insertions(+), 183 deletions(-)
commit f271efd89bb874612ebd69667dccf976e68f841e
Merge: 0bc43aad3 e630cd890
Author: Luigi Ballabio <[email protected]>
Date: Tue, 22 Nov 2022 09:03:12 +0100
Added `MakeSwaption::withIndexedCoupons(...)` and `MakeSwaption::withAtParCoupons(...)` (#1527)
commit e630cd8903d9dca3b2d7b56824a1768052ed54a2
Author: RalfKonrad <[email protected]>
Date: Mon, 21 Nov 2022 19:28:20 +0100
Added MakeSwaption::withIndexedCoupons(...) and MakeSwaption::withAtParCoupons(...)
ql/instruments/makeswaption.cpp | 13 ++++++++++++-
ql/instruments/makeswaption.hpp | 3 +++
2 files changed, 15 insertions(+), 1 deletion(-)
commit 0bc43aad3b0964847ba07c5be3af79f4a46e3594
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 20 Nov 2022 05:41:37 +0000
Automated fixes by clang-tidy
test-suite/inflation.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 8cf030858a88e6b9aef658b1b74212068151a263
Merge: faed2ceb3 0de363d13
Author: Luigi Ballabio <[email protected]>
Date: Sun, 20 Nov 2022 21:14:29 +0100
Make Option::payoff() and Option::exercise() const (#1526)
commit 0de363d1392434986d567a3a6c51394b490bb982
Author: RalfKonrad <[email protected]>
Date: Sun, 20 Nov 2022 18:26:48 +0100
Option::payoff() and Option::exercise() are now const
ql/option.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit faed2ceb3b255d03b307bd2e459a70776a2e3778
Author: Luigi Ballabio <[email protected]>
Date: Fri, 18 Nov 2022 22:55:11 +0100
Try to reduce number of cache entries on actions
.github/workflows/cmake.yml | 35 +++++++++++++++-------------------
.github/workflows/linux-full-tests.yml | 7 +++----
.github/workflows/linux.yml | 7 +++----
.github/workflows/macos.yml | 9 ++++-----
.github/workflows/test-times.yml | 9 ++++-----
5 files changed, 29 insertions(+), 38 deletions(-)
commit 95cc21495fa842205fbdeb0b1cd956e03b09c268
Merge: 80874acf5 630569a16
Author: Luigi Ballabio <[email protected]>
Date: Fri, 18 Nov 2022 22:45:01 +0100
Accelerated Build via Ninja generator with CMake (#1429)
commit 630569a16ff771b0999af048208d063a0418f033
Author: Xcelerit Dev Team <[email protected]>
Date: Fri, 18 Nov 2022 16:02:11 +0000
Adds /bigobj in unity builds for benchmarks as well
test-suite/CMakeLists.txt | 4 ++++
1 file changed, 4 insertions(+)
commit 3536ad4d1ac602b0ac2d745bcbad1b6164423b1f
Author: Xcelerit Dev Team <[email protected]>
Date: Fri, 18 Nov 2022 14:20:48 +0000
Sets /bigobj for MSVC unit builds
ql/CMakeLists.txt | 7 ++-----
test-suite/CMakeLists.txt | 7 ++-----
2 files changed, 4 insertions(+), 10 deletions(-)
commit a758f145401c1bdb3c2fc9d67c3c0d600eabc954
Author: Xcelerit Dev Team <[email protected]>
Date: Fri, 18 Nov 2022 12:52:59 +0000
Enables sccache on Windows in CI cmake builds
.github/workflows/cmake.yml | 22 +++++++++++++++++++++-
CMakePresets.json | 3 ++-
2 files changed, 23 insertions(+), 2 deletions(-)
commit 022273a7a1843975b2323aec177bc8363e897985
Author: Xcelerit Dev Team <[email protected]>
Date: Fri, 18 Nov 2022 12:44:10 +0000
Adds /bigobj on CMake unity builds with Ninja
ql/CMakeLists.txt | 8 ++++++++
test-suite/CMakeLists.txt | 7 +++++++
2 files changed, 15 insertions(+)
commit 80874acf512570ed3be7714698de1901a909a2c7
Merge: 75602fedc 002d9e388
Author: Luigi Ballabio <[email protected]>
Date: Mon, 14 Nov 2022 13:23:07 +0100
Consistent Real usage, testing macros, and constant initialisation (#1524)
commit 75602fedca7b585ad8791e32a18b58e740539e36
Merge: af69ee35a 3cfa4eb26
Author: Luigi Ballabio <[email protected]>
Date: Mon, 14 Nov 2022 12:25:26 +0100
Deprecate internal interpolation in `InflationIndex` and `ZeroInflationIndex` (#1051)
commit 002d9e388d459227a4ecdbb4dcf3785518cfb6f8
Author: Xcelerit Dev Team <[email protected]>
Date: Mon, 14 Nov 2022 10:10:19 +0000
Removes needless explicit norm template parameter
test-suite/fastfouriertransform.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9b1593636d518bc131f66256f9f40fd506c817ea
Author: Xcelerit Dev Team <[email protected]>
Date: Mon, 14 Nov 2022 10:09:46 +0000
Consistently use testing macros
test-suite/americanoption.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 46d7233bd53ecd13e2fcf30f6bf62727bbfce64e
Author: Xcelerit Dev Team <[email protected]>
Date: Mon, 14 Nov 2022 10:08:53 +0000
Explicit casts to Real on ternary operator
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 5826ac838c8d09d5817f128d7a3e15e4afac3f83
Author: Xcelerit Dev Team <[email protected]>
Date: Mon, 14 Nov 2022 10:08:10 +0000
Initialises large constant arrays as double, reducing compile time
ql/experimental/math/zigguratrng.cpp | 2 +-
ql/math/factorial.cpp | 2 +-
ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 4 ++--
3 files changed, 4 insertions(+), 4 deletions(-)
commit a9e30354e273df2fc676b2cca19ca4ab135d5cd9
Author: Xcelerit Dev Team <[email protected]>
Date: Mon, 14 Nov 2022 10:04:36 +0000
Removes needless type specification for complex norm
ql/math/autocovariance.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 05d1338877fbe25ce7d15d4052085c679aff1c05
Author: Oleg Kulkov <[email protected]>
Date: Sun, 13 Nov 2022 20:01:32 +0100
new example showing the bond with cahnging notional
Examples/AmortizingBonds/AmortizingBond.cpp | 178 ++++++++++++++++++++++++++++
Examples/AmortizingBonds/CMakeLists.txt | 2 +
Examples/AmortizingBonds/ReadMe.txt | 1 +
ql/instruments/bond.cpp | 1 +
4 files changed, 182 insertions(+)
commit 3cfa4eb26085f0f65d3686fb6aa964937f64ea83
Author: Luigi Ballabio <[email protected]>
Date: Sun, 13 Nov 2022 14:53:58 +0100
Remove custom macros
ql/indexes/inflationindex.hpp | 10 ----------
test-suite/inflation.cpp | 7 -------
test-suite/inflationcapfloor.cpp | 4 ----
test-suite/inflationcpibond.cpp | 4 ----
test-suite/inflationcpicapfloor.cpp | 19 ++-----------------
test-suite/inflationcpiswap.cpp | 8 --------
6 files changed, 2 insertions(+), 50 deletions(-)
commit 55083131193436c716eac7f7364d052bc92bff71
Author: Luigi Ballabio <[email protected]>
Date: Sun, 13 Nov 2022 14:36:36 +0100
Document deprecated data member
ql/experimental/inflation/genericindexes.hpp | 4 ++--
ql/indexes/inflation/aucpi.hpp | 4 ++--
ql/indexes/inflation/euhicp.hpp | 8 +++----
ql/indexes/inflation/frhicp.hpp | 4 ++--
ql/indexes/inflation/ukrpi.hpp | 4 ++--
ql/indexes/inflation/uscpi.hpp | 4 ++--
ql/indexes/inflation/zacpi.hpp | 4 ++--
ql/indexes/inflationindex.cpp | 32 ++++++++++++++--------------
ql/indexes/inflationindex.hpp | 21 ++++++------------
9 files changed, 39 insertions(+), 46 deletions(-)
commit 99ba217022d77679f3fa3be2789c6b4f4eb6d2d2
Author: Luigi Ballabio <[email protected]>
Date: Sun, 13 Nov 2022 14:16:12 +0100
Document deprecated method
ql/indexes/inflationindex.cpp | 5 +++--
ql/indexes/inflationindex.hpp | 21 +++++++--------------
ql/instruments/zerocouponinflationswap.cpp | 2 --
test-suite/inflation.cpp | 4 ++--
4 files changed, 12 insertions(+), 20 deletions(-)
commit c2a476179454926a88ac568ab19e1a103a9a1d69
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 23:39:08 +0100
Document deprecated constructors, avoid some deprecated calls
ql/experimental/inflation/genericindexes.hpp | 30 ++++++++--------
ql/indexes/inflation/aucpi.hpp | 23 ++++++------
ql/indexes/inflation/euhicp.hpp | 52 +++++++++++++++-------------
ql/indexes/inflation/frhicp.hpp | 20 ++++++-----
ql/indexes/inflation/ukrpi.hpp | 20 ++++++-----
ql/indexes/inflation/uscpi.hpp | 30 ++++++++--------
ql/indexes/inflation/zacpi.hpp | 20 ++++++-----
ql/indexes/inflationindex.hpp | 39 ++++++---------------
test-suite/inflation.cpp | 43 ++++++++++-------------
test-suite/inflationcpibond.cpp | 7 +---
test-suite/inflationcpicapfloor.cpp | 8 +----
test-suite/inflationcpiswap.cpp | 8 +----
12 files changed, 136 insertions(+), 164 deletions(-)
commit af69ee35a8e446072e2b7125b7af6b62c13e5776
Merge: 0b0caf116 934764f1f
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 20:55:45 +0100
Make `Handle` default constructor non-explicit. (#1523)
commit 0b0caf116cbce50e6512c1d7d91c94abb9fc0dda
Merge: 7d865a7c1 40e0adfe9
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 19:18:49 +0100
Fix declaration and error message for tanh-sinh fallback (#1522)
commit 934764f1fbd47d28253db0e4c8e74ac2d06c3271
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 16:48:04 +0100
Use shorter syntax
ql/indexes/bmaindex.hpp | 3 +-
ql/indexes/ibor/aonia.hpp | 3 +-
ql/indexes/ibor/audlibor.hpp | 3 +-
ql/indexes/ibor/bbsw.hpp | 21 ++---
ql/indexes/ibor/bibor.hpp | 24 ++----
ql/indexes/ibor/bkbm.hpp | 21 ++---
ql/indexes/ibor/cadlibor.hpp | 6 +-
ql/indexes/ibor/cdor.hpp | 3 +-
ql/indexes/ibor/chflibor.hpp | 6 +-
ql/indexes/ibor/dkklibor.hpp | 3 +-
ql/indexes/ibor/eonia.hpp | 3 +-
ql/indexes/ibor/estr.hpp | 3 +-
ql/indexes/ibor/euribor.hpp | 96 ++++++++--------------
ql/indexes/ibor/eurlibor.hpp | 51 ++++--------
ql/indexes/ibor/fedfunds.hpp | 3 +-
ql/indexes/ibor/gbplibor.hpp | 9 +-
ql/indexes/ibor/jibar.hpp | 3 +-
ql/indexes/ibor/jpylibor.hpp | 6 +-
ql/indexes/ibor/libor.hpp | 6 +-
ql/indexes/ibor/mosprime.hpp | 3 +-
ql/indexes/ibor/nzdlibor.hpp | 3 +-
ql/indexes/ibor/nzocr.hpp | 3 +-
ql/indexes/ibor/pribor.hpp | 3 +-
ql/indexes/ibor/robor.hpp | 3 +-
ql/indexes/ibor/seklibor.hpp | 3 +-
ql/indexes/ibor/shibor.hpp | 2 +-
ql/indexes/ibor/sofr.hpp | 3 +-
ql/indexes/ibor/sonia.hpp | 3 +-
ql/indexes/ibor/thbfix.hpp | 3 +-
ql/indexes/ibor/tibor.hpp | 3 +-
ql/indexes/ibor/tona.hpp | 3 +-
ql/indexes/ibor/trlibor.hpp | 3 +-
ql/indexes/ibor/usdlibor.hpp | 9 +-
ql/indexes/ibor/wibor.hpp | 3 +-
ql/indexes/ibor/zibor.hpp | 3 +-
ql/indexes/iborindex.hpp | 5 +-
ql/indexes/swap/chfliborswap.hpp | 3 +-
ql/indexes/swap/euriborswap.hpp | 9 +-
ql/indexes/swap/eurliborswap.hpp | 9 +-
ql/indexes/swap/gbpliborswap.hpp | 3 +-
ql/indexes/swap/jpyliborswap.hpp | 10 +--
ql/indexes/swap/usdliborswap.hpp | 6 +-
.../credit/defaultdensitystructure.hpp | 12 +--
ql/termstructures/credit/hazardratestructure.hpp | 12 +--
.../credit/interpolateddefaultdensitycurve.hpp | 25 +++---
.../credit/interpolatedhazardratecurve.hpp | 25 +++---
.../interpolatedsurvivalprobabilitycurve.hpp | 24 +++---
ql/termstructures/credit/piecewisedefaultcurve.hpp | 37 ++++-----
.../credit/survivalprobabilitystructure.hpp | 12 +--
ql/termstructures/defaulttermstructure.hpp | 12 +--
.../volatility/optionlet/optionletstripper.hpp | 2 +-
.../volatility/optionlet/optionletstripper1.hpp | 2 +-
ql/termstructures/yield/discountcurve.hpp | 20 ++---
ql/termstructures/yield/forwardcurve.hpp | 21 +++--
ql/termstructures/yield/forwardstructure.hpp | 8 +-
.../yield/interpolatedsimplezerocurve.hpp | 20 ++---
ql/termstructures/yield/oisratehelper.hpp | 4 +-
.../yield/overnightindexfutureratehelper.hpp | 6 +-
ql/termstructures/yield/piecewiseyieldcurve.hpp | 31 +++----
ql/termstructures/yield/ratehelpers.hpp | 22 ++---
ql/termstructures/yield/zerocurve.hpp | 21 +++--
ql/termstructures/yield/zeroyieldstructure.hpp | 8 +-
ql/termstructures/yieldtermstructure.hpp | 8 +-
63 files changed, 284 insertions(+), 419 deletions(-)
commit 12fe0e94b6350906b9ddff733ee1aa9d66b775ee
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 15:10:43 +0100
Make Handle default constructor non-explicit.
This allows using {} for default parameters.
ql/handle.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 8074fddad00e91734f81062d2c83859c7ed261d3
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 13:16:59 +0100
Never mind forward declarations.
This reverts commit 0555333bd7ffd269c62b431aac51cc387dd3721c.
ql/cashflows/cpicouponpricer.cpp | 1 -
ql/cashflows/inflationcouponpricer.hpp | 1 -
ql/indexes/inflationindex.hpp | 4 +---
ql/instruments/inflationcapfloor.cpp | 1 -
ql/instruments/zerocouponinflationswap.cpp | 1 -
ql/pricingengines/inflation/inflationcapfloorengines.cpp | 1 -
6 files changed, 1 insertion(+), 8 deletions(-)
commit f3d9eecabfd8b20f25454b578bc2264aa9f8d6b8
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Nov 2022 10:50:32 +0100
More tests for interpolated fixings, removed redundant ones
test-suite/CMakeLists.txt | 2 -
test-suite/Makefile.am | 2 -
test-suite/inflation.cpp | 182 ++++++++++++++-----
test-suite/inflation.hpp | 3 +-
test-suite/inflationzciisinterpolation.cpp | 283 -----------------------------
test-suite/inflationzciisinterpolation.hpp | 39 ----
test-suite/quantlibtestsuite.cpp | 2 -
test-suite/testsuite.vcxproj | 2 -
test-suite/testsuite.vcxproj.filters | 6 -
9 files changed, 143 insertions(+), 378 deletions(-)
commit 0555333bd7ffd269c62b431aac51cc387dd3721c
Author: Luigi Ballabio <[email protected]>
Date: Thu, 10 Nov 2022 18:37:55 +0100
Use forward declarations where possible
ql/cashflows/cpicouponpricer.cpp | 1 +
ql/cashflows/inflationcouponpricer.hpp | 1 +
ql/indexes/inflationindex.hpp | 1 -
ql/instruments/inflationcapfloor.cpp | 1 +
ql/instruments/zerocouponinflationswap.cpp | 1 +
ql/pricingengines/inflation/inflationcapfloorengines.cpp | 1 +
6 files changed, 5 insertions(+), 1 deletion(-)
commit 7d865a7c15584df9c74941fad06c8f6e00d30045
Merge: efe46c1e7 5dc08d220
Author: Luigi Ballabio <[email protected]>
Date: Thu, 10 Nov 2022 14:48:24 +0100
add equality operators for matrix (#1521)
commit 5dc08d2202e420c10278f16fc66b0295a446c39f
Author: Matthias Groncki <[email protected]>
Date: Thu, 10 Nov 2022 17:22:15 +0700
add equality operators for matrix
ql/math/matrix.hpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit efe46c1e7e086ecb96b310639a67b900b4132bb5
Merge: 00ae31ebf e4af81902
Author: Luigi Ballabio <[email protected]>
Date: Thu, 10 Nov 2022 00:47:13 +0100
Expose underlying rate in capped/floored YoY inflation coupon (#1520)
commit 00ae31ebfd38d596091cd0d7278d1be504f76920
Merge: 864d0edad 50c5c3036
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 23:59:22 +0100
Avoid out-of-memory access in empty `Exercise` instance (#1519)
commit e4af819025d50bbc7f0d13c4873f1104686fd69d
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 17:22:44 +0100
Expose underlying rate in capped/floored YoY inflation coupon
ql/cashflows/capflooredinflationcoupon.cpp | 33 +++++++++++-------------------
ql/cashflows/capflooredinflationcoupon.hpp | 3 +++
2 files changed, 15 insertions(+), 21 deletions(-)
commit 50c5c3036c72bdbe60fd7af91feda529d888680e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 16:51:24 +0100
Avoid out-of-memory access in empty Exercise instance
ql/exercise.cpp | 5 +++++
ql/exercise.hpp | 2 +-
2 files changed, 6 insertions(+), 1 deletion(-)
commit 864d0edad3e6accaafa77e7b828eb392a4e55833
Merge: ff382343c 97506f7b5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 16:08:34 +0100
Use `Handle<Quote>` in constant CPI volatility instead of immutable `Real` value (#1518)
commit ff382343c2bd5f51923a4ee11266ca12d757562c
Merge: 317e3e2a2 83fec02d4
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 15:23:46 +0100
Add King Charles III coronation holiday to UK calendar (#1516)
commit 317e3e2a2fda701f04798ed4333e19fa3ec1a920
Merge: 3c7c5b93c e25424573
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Nov 2022 14:44:24 +0100
Add holiday for National Day of Mourning to Australian calendar (#1517)